Question: Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters: T-bills yield: 2.5 pct.

Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters:

T-bills yield: 2.5 pct.
Current stock price: $32.00
No possibility stock will be worth less this amount in one year: $30.00
Exercise Price: $27.00
Value of call = $5.66, Intrinsic Value = $2.00
Value of call = $3.66, Intrinsic Value = $5.00
Value of call = $5.66, Intrinsic Value = $5.00

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